The racial skill bonuses only help a tiny bit at the lower levels. Once you get up to level 10-15 or so, the race you picked doesn't matter very much, so my suggestion would be to pick any race that you will enjoy playing. And some of the races have resistances vs. fire, cold, etc., which are very helpful even at high levels.

As for build suggestions, IMO the most powerful perks in the game for stealth characters are Steady Hands (archery) and Assasin's Blade (Stealth). The one-handed perks that can apply to daggers are also important and Shadow Warrior and Silent Roll were also quite helpful.

Stealth gameplay is greatly improved in Skyrim compared with previous TES games, and it has been quite fun to enhance the stealth aspect by putting 100% of the level up points into Stamina (no health or magicka), and skipping all the armor-related perks. The result is a very powerful stealth character who can kill enemies in one shot, but there is a danger of being caught and one-shotted yourself, which heightens the stealth experience IMHO.

If you want to get into poison making and pickpocketing there are some very fun perks available for these skills.

The way lockpicking works in Skyrim has much more to do with player skill than character skill. Once you get the hang of it, it becomes easy to open Master locks without spending any perks on lockpicking at all, and you can even open them while your lockpicking skill is low.

If you will play a stealth character, I highly recommend to skip the College of Winterhold and Companions questlines. Save that content for another playthrough. It is easy to get up to 200-300 hours for a single character just doing the Thieves Guild or Dark Brotherhood, collecting all the shouts and picking up a few daedric quests and side quests. Once you get above level 30-40 (which can take a few hundred hours), combat becomes a bit too easy IMO, so it is better to start a new character at that point, rather than run through all the remaining quest content with a god-like character.

If you want to do the Civil War or main quest with this character, I suggest to start while you are very low level. If you wait too long to start after you are above level 20, the CW and MQ missions can feel a bit too easy, even playing on Master difficulty.